Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Diagnosticos da America S.A. backtest
10 trend-following strategies were compared on the full daily history of Diagnosticos da America S.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -35.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.8%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.1%, MDD -41.7%, Sharpe 0.59, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -59.3%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 8.6%, MDD -35.7%, exposure 13%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=3.1 |
12.1% | -41.7% | 0.59 | 0.29 | 11.8x | 26 | 15% |
| SMA 크로스오버 fast=30, slow=48 |
13.3% | -59.3% | 0.54 | 0.22 | 15.1x | 122 | 47% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.9 |
10.9% | -48.7% | 0.53 | 0.22 | 9.5x | 68 | 20% |
| Supertrend period=32, mult=4.8 |
11.3% | -55.2% | 0.50 | 0.21 | 10.3x | 90 | 42% |
| ADX / DI 방향성 period=22, threshold=30 |
8.6% | -35.7% | 0.47 | 0.24 | 6.0x | 52 | 13% |
| Donchian 채널 돌파 entryN=122, exitN=40 |
9.7% | -74.3% | 0.46 | 0.13 | 7.4x | 32 | 29% |
| EMA 크로스오버 fast=37, slow=111 |
9.6% | -78.2% | 0.44 | 0.12 | 7.3x | 44 | 48% |
| ROC 모멘텀 n=28, threshold=0.12 |
6.1% | -75.3% | 0.36 | 0.08 | 3.6x | 240 | 16% |
| MACD fast=44, slow=66, signal=34 |
0.9% | -90.7% | 0.21 | 0.01 | 1.2x | 111 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.3% | -90.8% | 0.04 | -0.05 | 0.4x | 166 | 50% |
| Buy and hold | -3.8% | -99.4% | 0.18 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 56-day middle average